| BLPosterior {BLCOP} | R Documentation |
BLposterior
Description
BLposterior
Usage
BLPosterior(returns, views, tau = 1, marketIndex, riskFree = NULL,
kappa = 0, covEstimator = "cov")
Arguments
returns |
A matrix of time series of returns. The columns should correspond to individual assets. |
views |
An object of class BLViews |
tau |
The "tau" parameter in the Black-Litterman model. |
marketIndex |
A set of returns of a market index. |
riskFree |
A time series of risk-free rates of return. Defaults to 0 |
kappa |
if greater than 0, the confidences in each view are replaced. See the online help for details |
covEstimator |
A string holding the name of the function that should be used to estimate the variance-covariance matrix. This function should simply return a matrix. |
Value
An object of class BLResult
Author(s)
Francisco
[Package BLCOP version 0.3.3 Index]